QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
indexes
ibor
sonia.cpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2011 Ferdinando Ametrano
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <
ql/indexes/ibor/sonia.hpp
>
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#include <
ql/time/calendars/unitedkingdom.hpp
>
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#include <
ql/time/daycounters/actual365fixed.hpp
>
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#include <
ql/currencies/europe.hpp
>
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namespace
QuantLib
{
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Sonia::Sonia
(
const
Handle<YieldTermStructure>
& h)
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:
OvernightIndex
(
"Sonia"
, 0,
GBPCurrency
(),
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UnitedKingdom
(
UnitedKingdom
::Exchange),
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Actual365Fixed
(), h) {}
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}
actual365fixed.hpp
Actual/365 (Fixed) day counter.
QuantLib::Actual365Fixed
Actual/365 (Fixed) day count convention.
Definition:
actual365fixed.hpp:45
QuantLib::GBPCurrency
British pound sterling.
Definition:
europe.hpp:134
QuantLib::Handle
Shared handle to an observable.
Definition:
handle.hpp:41
QuantLib::OvernightIndex
Definition:
iborindex.hpp:88
QuantLib::Sonia::Sonia
Sonia(const Handle< YieldTermStructure > &h={})
Definition:
sonia.cpp:27
QuantLib::UnitedKingdom
United Kingdom calendars.
Definition:
unitedkingdom.hpp:91
europe.hpp
European currencies.
QuantLib
Definition:
any.hpp:35
sonia.hpp
Sonia index
unitedkingdom.hpp
UK calendars.
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